Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0577 |
| Annualized Std Dev | 0.2690 |
| Annualized Sharpe (Rf=0%) | 0.2146 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3408.0000 |
| NAs | 1.0000 |
| Minimum | -0.1680 |
| Quartile 1 | -0.0059 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0075 |
| Maximum | 0.1464 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0169 |
| Skewness | -0.6973 |
| Kurtosis | 12.7849 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0126 |
| Gain Deviation | 0.0120 |
| Loss Deviation | 0.0145 |
| Downside Deviation (MAR=210%) | 0.0167 |
| Downside Deviation (Rf=0%) | 0.0124 |
| Downside Deviation (0%) | 0.0124 |
| Maximum Drawdown | 0.6953 |
| Historical VaR (95%) | -0.0243 |
| Historical ES (95%) | -0.0429 |
| Modified VaR (95%) | -0.0263 |
| Modified ES (95%) | -0.0567 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-18 | 2008-11-20 | 2018-09-20 | -0.6953 | 2584 | 110 | 2474 |
| 2020-01-14 | 2020-03-23 | 2020-09-02 | -0.3675 | 162 | 48 | 114 |
| 2018-10-04 | 2018-12-24 | 2019-06-27 | -0.1835 | 183 | 56 | 127 |
| 2008-01-15 | 2008-01-23 | 2008-04-15 | -0.1782 | 63 | 6 | 57 |
| 2007-11-07 | 2007-11-19 | 2007-12-05 | -0.1126 | 20 | 9 | 11 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | 1.5 | -3.4 | 2.1 | 0.1 | 0.2 |
| 2008 | 3 | -2.4 | 1.8 | 1.4 | 1.2 | -1.4 | -2.6 | -0.6 | -1.6 | 3 | -8.9 | 1.7 | -5.9 |
| 2009 | -1.5 | 0.8 | 2.8 | 4.2 | 2.7 | 0.5 | 0.5 | -2.2 | -3 | -3.5 | 3 | -0.6 | 3.4 |
| 2010 | 2.2 | 1.6 | 0.6 | -1.3 | -1.9 | -0.1 | 1.6 | 2.4 | 0.5 | -0.3 | 2.9 | 0.4 | 8.7 |
| 2011 | 3.1 | -1.6 | 1.4 | 1.7 | -2.4 | 0.4 | 0.1 | -0.3 | -3.5 | -3.1 | -0.3 | 0.4 | -4.3 |
| 2012 | 1.6 | 1.3 | 1.1 | 1.3 | -2.9 | 2.1 | -0.3 | 1 | 0.8 | 1.2 | -0.1 | 1.5 | 8.9 |
| 2013 | 0.6 | -0.2 | -0.8 | -1.4 | -2.3 | 0 | 0.7 | 0 | 0.8 | 0.5 | 0.2 | 0.4 | -1.6 |
| 2014 | -0.7 | 0.4 | 0 | -0.2 | -0.1 | 0.2 | -0.3 | -0.3 | -1.7 | 1 | -0.6 | -0.7 | -2.9 |
| 2015 | -1.1 | -0.1 | 0.7 | 2.5 | -0.8 | 0.8 | 0.6 | -3 | -0.2 | -0.4 | 0.8 | -0.9 | -1 |
| 2016 | -0.2 | 1.9 | 0 | -0.1 | -0.1 | 0.1 | -0.9 | -0.1 | 0.7 | 0.3 | 0.5 | 0 | 2.1 |
| 2017 | 0.5 | 1.1 | 0 | 0 | 0.7 | 0.7 | 0.2 | 1.1 | 0.9 | 0.2 | 0 | -0.1 | 5.2 |
| 2018 | 0.1 | -1 | 2.1 | -0.3 | 0.8 | 0.4 | -1 | 0 | 0.2 | 2.6 | 0.2 | 0.7 | 5 |
| 2019 | 0 | 0.2 | 0.9 | -0.8 | -0.2 | 0.3 | -0.5 | 0.2 | -1.4 | 0.6 | -0.6 | 0.6 | -0.8 |
| 2020 | -1.8 | -0.4 | -4 | -2.9 | 0.8 | 0 | -0.2 | 1.3 | -0.9 | -1.2 | 1.3 | 0.4 | -7.6 |
| 2021 | 1.6 | 2.5 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-09-05 41.2 SPY 148. -0.0087 0.0283 0.0108 -0.0267 0.125 0.313 0.674 GLD 67.6 0.0018 0.03
2 2007-09-06 41.4 SPY 148. 0.0023 0.0109 0.00240 -0.0065 0.125 0.321 0.654 GLD 68.9 0.0192 0.0422
3 2007-09-07 40.8 SPY 146. -0.0139 -0.0005 -0.0251 -0.0329 0.119 0.294 0.645 GLD 69.4 0.0077 0.0546
4 2007-09-10 40.8 SPY 146. -0.0019 -0.0122 0.0028 -0.0364 0.122 0.295 0.620 GLD 69.6 0.0033 0.0466
5 2007-09-11 41.4 SPY 147. 0.0117 -0.0107 0.0192 -0.0144 0.132 0.311 0.627 GLD 70.5 0.0129 0.0457
6 2007-09-12 41.8 SPY 148. 0.0026 0.0005 0.0182 -0.0265 0.134 0.308 0.612 GLD 70.5 -0.0009 0.0429
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
